Course Delivery Mode
Online – Approximately 60 hours spread over three months. The course would be delivered online part-time for the participants over weekends and would not require them to take time off from their location to visit IIMA, other than optionally for the inaugural and valedictory modules.
This online executive education programme is designed to introduce participants to practical derivative pricing and financial engineering applications using Python and QuantLib.
• Basic derivative instruments and their role in modern financial markets
• Introduction to replication, hedging and risk-neutral valuation
• The Black-Scholes model and implementation in Python
• Understanding Structured Products and their business logic with real term sheets
• Issues and models for pricing Structured Products
• Introduction to QuantLib and QuantLib-Python for derivative pricing
• Case studies: Barrier Options and American Options
• Option Greeks
• Volatility smile and the Vanna-Volga method
• Local and stochastic volatility models in QuantLib
• Practical issues in pricing and risk managing exotic over-the-counter derivatives
• Managing market and model risk of derivatives’ positions
Professionals working or intending to move into quantitative finance in financial institutions and KPOs specialising in insurance, model validation, product
control, risk-IT, risk management, structuring and trading. Software programmers and Academics looking to change domain are also encouraged.
The main prerequisite would include being comfortable with undergraduate mathematics. Knowledge of finance is not necessary. Prior exposure to programming would be a bonus but not a prerequisite.
The programme would use a mix of pedagogical tools, including lectures, discussions, labs and take-home exercises.